We thank Jörg Breitung, Helmut Lütkepohl, Masao Ogaki (the Editor), Johannes Pfeifer, and two anonymous referees for very helpful comments. The usual disclaimer applies.
Government Spending Shocks in Quarterly and Annual Time Series
Article first published online: 27 MAR 2012
© 2012 The Ohio State University
Journal of Money, Credit and Banking
Volume 44, Issue 2-3, pages 507–517, March-April 2012
How to Cite
BORN, B. and MÜLLER, G. J. (2012), Government Spending Shocks in Quarterly and Annual Time Series. Journal of Money, Credit and Banking, 44: 507–517. doi: 10.1111/j.1538-4616.2011.00498.x
- Issue published online: 27 MAR 2012
- Article first published online: 27 MAR 2012
- Received August 5, 2009; and accepted in revised form August 3, 2011.
- government spending shocks;
- annual data;
Government spending shocks are frequently identified in quarterly time-series data by ruling out a contemporaneous response of government spending to other macroeconomic aggregates. We provide evidence that this assumption may not be too restrictive for annual time-series data.